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- Title
OPTIMAL DYNAMIC PORTFOLIO SELECTION: MULTIPERIOD MEAN-VARIANCE FORMULATION.
- Authors
Duan Li; Wan-lung Ng
- Abstract
The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.
- Subjects
ALGORITHMS; INVESTMENTS; ASSET allocation; VARIANCES; ECONOMIC policy; UTILITY functions; MATHEMATICAL models
- Publication
Mathematical Finance, 2000, Vol 10, Issue 3, p387
- ISSN
0960-1627
- Publication type
Article
- DOI
10.1111/1467-9965.00100